Fit a quantile regression w/ a lasso penalty — fit_lasso • quantspace

Fit a quantile regression w/ a lasso penalty

fit_lasso(
  x,
  y,
  tau = 0.5,
  lambda = NULL,
  weights = NULL,
  intercept = TRUE,
  coef.cutoff = 1e-04,
  method = "sfn",
  ...
)

Arguments

x: design matrix
y: outcome variable
tau: target quantile
lambda: weight for penalization factor
weights: optional observation weights
intercept: whether or not to model the intercept
coef.cutoff: what value for a coefficient is considered 0
method: what underlying regression method to use for fitting
...: other arguments to pass to method